Essays about: "Black Scholes"

Showing result 21 - 25 of 122 essays containing the words Black Scholes.

  1. 21. Implied volatility expansion under the generalized Heston model

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Hanna Andersson; Ying Wang; [2020]
    Keywords : Heston model; Generalized Heston model; implied volatility; implied volatility expansion; Black–Scholes; Monte Carlo method; European options;

    Abstract : In this thesis, we derive a closed-form approximation to the implied volatility for a European option, assuming that the underlying asset follows the generalized Heston model. A new para- meter is added to the Heston model which constructed the generalized Heston model. READ MORE

  3. 22. Finite Difference Methods for the Black-Scholes Equation

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Asima Parveen Saleemi; [2020]
    Keywords : Option pricing; Generalised Black-Scholes model; Finite difference methods; Stability; Convergence; Numerical solution;

    Abstract : Financial engineering problems are of great importance in the academic community and BlackScholes equation is a revolutionary concept in the modern financial theory. Financial instruments such as stocks and derivatives can be evaluated using this model. Option evaluation, is extremely important to trade in the stocks. READ MORE

  4. 23. Optimization of option pricing : - Variance reduction and low-discrepancy techniques

    University essay from Umeå universitet/Företagsekonomi

    Author : Julia Larsson; [2020]
    Keywords : ;

    Abstract : In recent years, the importance and the interest in financial instrument especially derivatives have increased. The Nobel Prize in Economics 1997 was dedicated to Black & Scholes for their work with finding a new method that estimates option prices for Plain Vanilla Options. READ MORE

  5. 24. When to expect decreasing implied volatilities

    University essay from Uppsala universitet/Matematiska institutionen

    Author : Tobias Nordahl; [2020]
    Keywords : finansiell matematik; volatilitet; implicit volatilitet; lokal volatilitet;

    Abstract : In this report the goal is to investigate general properties of implied volatility such as the relationship between implied volatility and local volatility as well as the relationship between implied volatility and the sign of the jumps in jump-diffusion models. More specific the question to investigate is whether the implied volatility is decreasing as the strike price increases under the assumption that the market is pricing under a monotonically decreasing local volatility model. READ MORE

  6. 25. Can we predict future volatility on the OMXS 30? : A quantative study on historical and implied volatility

    University essay from Umeå universitet/Nationalekonomi

    Author : Martin Hallberg; [2020]
    Keywords : ;

    Abstract : When making investment decisions risk is a highly important aspect to account for. Many studies have investigated how to measure risk and forecast it for an investment decision. This study takes a closer look at what forecast method is best on the Swedish index OMX Stockholm 30. During the period from January 2016 to December 2018. READ MORE